Revue Finance & marchés
Volume 4, Numéro 2, Pages 200-235
2017-09-01
Authors : Touati Karima .
The objective of this paper is to analyze the effects of oil price shock on exchange rate of dinar versus US dollar with an empirical analysis using a VAR Model (Vector Autoregressive Model) based on monthly data from June 2012 to December 2016. The findings showed that oil prices exert a significant effect on exchange rate. A 1% decrease in oil price would lead the Algerian Dinar to depreciate to 0.10% against US Dollar. Granger Causality Test results indicate that there is a unidirectional causality running from oil price to exchange rate. This is consistent with the theory that decrease in oil price will depreciate the exchange rate. In fact, low oil prices generally provoke a large depreciation of exchange rates in oil-exporting countries. This evidence is clearly established in the Algerian case.
Algeria; Exchange rate; Impact; Oil price; shock; Vector Autoregressive Model.
بوسالم أحلام
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عابد يوسف
.
ص 117-132.
Yahia Zeghoudi
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pages 74-88.
Rehioui Manel
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Djellit Tahar
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Merghit Abd Elhamid
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pages 240-252.
Yahia Amel
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pages 469-494.
Hannachi Hayet
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pages 143-155.